Non-monotonic hazard functions and the autoregressive conditional duration model

By Joachim Grammig, Kai-Oliver Maurer. 2000

247 citations recorded by the source corpus.

Subfields: Finance

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The stochastic conditional duration model: a latent variable model for the analysis of financial durations (2004, methodology): “Another candidate is the Burr distribution used in the ACD model by Grammig and Maurer (1999). The Burr-ACD model encompasses the hazard shapes of the Weibull-ACD model, and like the SCD model it can produce non-monotone hazard functions, but they always start from zero when they are increasing at t”
Autoregressive Conditional Duration Models in Finance: A Survey of the Theoretical and Empirical Literature (2008, result): “those of Hasbrouck (1991), it follows that short durations are associated with large spreads, large volumes and high price impact of trades, consistent with Easley and O’Hara’s (1992) predictions.”
Evaluating Models of Autoregressive Conditional Duration (2006, background): “It may be mentioned that there is a close connection between the LM tests presented here and the conditional moment tests discussed in Hautsch (2002) in the sense that our tests can be interpreted as particular conditional moment tests.”